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math.NA2025
The adaptive EM schemes for McKean-Vlasov SDEs with common noise in finite and infinite horizons
Hu Liu, Shuaibin Gao, Junhao Hu
This paper is dedicated to investigating the adaptive Euler-Maruyama (EM) schemes for the approximation of McKean-Vlasov stochastic differential equations (SDEs) with common noise.…
math.NA2023
The randomized Milstein scheme for stochastic Volterra integral equations with weakly singular kernels
Zhaohang Wang, Zhuoqi Liu, Shuaibin Gao +1
This paper focuses on the randomized Milstein scheme for approximating solutions to stochastic Volterra integral equations with weakly singular kernels, where the drift coefficient…